backtest_w_python
Un vieux code de 2022 (si pas plus). Chrypowatch n'existe plus, c'est dire
# coding: utf-8 import requests import numpy as np import pandas as pd import talib url = 'https://api.cryptowat.ch/markets/kraken/btceur/ohlc' ohlc = requests.get(url).json()['result'][str(12*60*60)] columns = ['time','open','high','low','close','volume','count'] df = pd.DataFrame(ohlc, columns=columns).astype(float) df = df.iloc[-1000:] df['RSI'] = talib.RSI(df['close'], timeperiod=14) #df['RSI'] = df.RSI.fillna(value=df.RSI.loc[14]) df['long'] = talib.SMA(df.close, timeperiod=200) #df['long'] = df.long.fillna(value=df.long.loc[200]) df['short'] = talib.SMA(df.close,timeperiod=14) #df['short'] = df.short.fillna(value=df.short.loc[14]) df['trend'] = df.long < df.short # signal df['sig_in'] = (df.RSI > 60) & df.trend df['sig_out'] = (df.RSI < 40)# | 1-df.trend #df['sig_in'] = (df.RSI.shift() < 70) & (df.RSI > 70) #df['sig_out'] = (df.RSI.shift() > 30) & (df.RSI < 30) #df['sig_in'] = (df.RSI.shift() < 25) & (df.RSI > 25) #df['stoploss'] = df.low.rolling(5).min().where(df.sig_in==1).ffill() #df['sig_out'] = ((df.RSI.shift() > 75) & (df.RSI < 75)) | ((df.RSI.shift()>25) & (df.RSI<25)) | (df.close < df.stoploss) #df['signal'] = df.sig_in.where(df.sig_in).fillna(1-df.sig_out.where(df.sig_out)).ffill() #df['sig_out'].loc[0] = True #df['signal'] = (1-df.sig_out.where(df.sig_out)).fillna(df.sig_in.where(df.sig_in)).ffill()# * df.trend df['sig_0'] = df.sig_in.astype(int) - df.sig_out.astype(int) df['sig_1'] = df.sig_0.where(df.sig_0!=0).ffill() df['signal'] = df.sig_1 > 0 # Rendements df['close'] = df.close.replace(to_replace=0, method='ffill') df['r_0'] = df.close / df.close.shift() df['r_strat'] = np.where(df.signal.shift(), df.r_0, 1) df['r_fee'] = np.where(df.signal.shift() + df.signal == 1, 1-0.0025, 1) # tronquage datafame #df = df.iloc[-700:] # Rendement cumulé df['R_net'] = (df.r_strat * df.r_fee).cumprod() # Graphiques from bokeh.plotting import figure,show from bokeh.layouts import column,row p1 = figure(height=300,width=800) p1.line(df.time,df.close) #p1.line(df.time,df.long,color='green') #p1.line(df.time,df.short,color='red') p2 = figure(height=100,width=800,x_range=p1.x_range) p2.line(df.time,df.RSI) #p3_0 = figure(height=100,width=800,x_range=p1.x_range) #p3_0.line(df.time,df.trend) p3_1 = figure(height=100,width=800,x_range=p1.x_range) p3_1.line(df.time,df.sig_in,color='green') p3_2 = figure(height=100,width=800,x_range=p1.x_range) p3_2.line(df.time,df.sig_out,color='red') p3_3 = figure(height=100,width=800,x_range=p1.x_range) p3_3.line(df.time,df.sig_0) p3_3_2 = figure(height=100,width=800,x_range=p1.x_range) p3_3_2.line(df.time,df.sig_1) p3_4 = figure(height=100,width=800,x_range=p1.x_range) p3_4.line(df.time,df.signal) p4 = figure(height=150,width=800,x_range=p1.x_range) p4.line(df.time,df.r_0,color='lightgray') p4.line(df.time,df.r_strat) p4.line(df.time,df.r_fee,color='red') p5 = figure(height=300,width=800,x_range=p1.x_range) p5.line(df.time,df.r_0.cumprod(),color='lightgray') p5.line(df.time,df.r_strat.cumprod()) p5.line(df.time,df.R_net,color='red') layout = column(p1,p2,p3_1,p3_2,p3_3,p3_3_2,p3_4,p4,p5) show(layout)
backtest_w_python.txt · Last modified: 2025/02/27 18:48 by bruno